NO.PZ2023091701000076
问题如下：
A market risk manager uses historical information on 1,000 days of profit/loss information to calculate a daily VaR at the 99th percentile, of USD 8 million. Loss observations beyond the 99th percentile are then used to estimate the conditional VaR. If the losses beyond the VaR level, in millions, are USD 9, USD 10, USD 11, USD 13, USD 15, USD 18, USD 21, USD24, and USD 32, then what is the conditional VaR?
选项：
A.USD 9 million
B.USD 32 million
C.USD 15 million
D.USD 17 million
解释：
A is incorrect. This is the minimum.
B is incorrect. This is the maximum.
C is incorrect. This is the median.
D is correct. Conditional VaR is the “mean” of the losses beyond the VaR level.
什么是conditional var？这个课程哪里讲到了吗？
不是就超过的var排序求99%，用线性插值法？
